Intraday return predictability in cryptocurrency perpetual futures
R2 Cryptocurrency perpetual futures account for 93% of cryptocurrency trading volume, with daily turnover exceeding $100 billion, yet their intraday return predictability remains unexplored: a notable gap given extensive evidence of predictable daily returns in spot markets. We investigate whether this inefficiency extends to perpetual futures at 1-, 4-, and 8-hour horizons using a broad set of machine learning methods. Out-of-sample R2 statistics are uniformly negative: neither linear models nor flexible nonlinear methods outperform a historical-mean benchmark. Trading strategies based on model forecasts underperform passive buy-and-hold, and once realistic transaction costs are incorporated, virtually all active strategies deliver negative risk-adjusted returns. These results suggest a resolution to the cryptocurrency efficiency puzzle: while spot markets display predictable daily patterns, perpetual futures are informationally efficient at intraday frequencies, with any predictive structure too weak and transient to survive high-frequency arbitrage and the implementation frictions of derivatives trading.
Authors
- Yinze Ji (ORCID: https://orcid.org/0009-0006-1026-1505)
- Yi Cao (ORCID: https://orcid.org/0000-0002-5087-8861)
- Yi Zhu (ORCID: https://orcid.org/0009-0005-0333-9311)
- Jiahao Zhang (ORCID: https://orcid.org/0009-0003-9809-0453)
- Zizhao Wang
Institutions
- Xi’an Jiaotong-Liverpool University (CN)
Publication Details
- Journal
- Journal of Chinese Economic and Business Studies
- Published
- 2026-10-29
- DOI
- https://doi.org/10.1080/14765284.2026.2753973
- Primary Topic
- Financial Markets and Investment Strategies
- Type
- article
- Field-Weighted Citation Impact
- 0.00